Gram–Charlier densities: a multivariate approach

DOI10.1080/14697680902773611zbMath1180.91319MaRDI QIDQ3650967

Esther B. Del Brio, Trino-Manuel Ñíguez, Javier Perote

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902773611

zbMATH Keywords

VaR; financial assets; empirical finance; econometrics of financial markets

Mathematics Subject Classification ID

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Related Items

A Monte Carlo multi-asset option pricing approximation for general stochastic processes, Multivariate generalized Gram-Charlier series in vector notations, Gram-Charlier processes and applications to option pricing, Gram-Charlier densities: maximum likelihood versus the method of moments, The dual multivariate Charlier and Edgeworth expansions, Dynamic density forecasts for multivariate asset returns

Uses Software

• RiskMetrics

Cites Work

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